I have the steam version. But since my internet connection was down for a moment, I started the game by executing the .exe in \Steam\steamapps\common\dungeons of dredmor. I've made some progress, but now I play again by starting through steam. When I load the saved game, it's still in the old state, meaning my previous saved game is still used. When I load through the .exe, everything is allright though. As I only have one savegame, this means there are multiple states in the file? Or am I missing another location for the saved game.
This is due to Steamcloud. When you play a save without Steam, then you open it in Steam, Steam overwrites with the last version you were playing at on Steam. You can either play always on Steam, never on Steam, or disable SteamCloud in the library game option.